Access Statistics for Lucio Sarno

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Cross-Country Financial Accelerator: Evidence from North America and Europe 0 0 0 166 2 3 3 628
A general randomized test for Alpha 0 1 11 11 2 6 14 14
An Economic Evaluation of Empirical Exchange Rate Models 0 0 1 414 6 9 12 794
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 0 2 4 156 5 11 21 600
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 0 0 0 306 7 15 20 1,132
Arbitrage in the foreign exchange market: Turning on the microscope 0 0 0 467 10 27 33 1,800
Assessing the benefits of international portfolio diversification in bonds and stocks 0 1 2 316 3 6 8 1,317
Asset Prices and International Spillovers: An Empirical Investigation 0 0 0 54 0 1 1 206
Asset Prices, Exchange Rates and the Current Account 0 0 0 52 2 8 10 244
Asset prices, exchange rates and the current account 0 0 0 378 33 42 48 1,014
Asset prices, exchange rates and the current account 0 0 0 131 3 6 13 332
Business Cycles and Currency Returns 0 0 0 24 11 14 18 105
Business Cycles and Currency Returns 0 0 0 48 8 10 16 177
Carry Trades and Global FX Volatility 0 0 2 425 8 11 25 1,026
Carry Trades and Global Foreign Exchange Volatility 0 0 1 254 5 7 16 580
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 62 3 6 6 300
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 56 3 5 5 214
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 65 2 5 6 211
Comparing the Accuracy of Density Forecasts from Competing Models 0 0 0 0 3 5 7 347
Currency Momentum Strategies 0 0 1 102 6 14 20 449
Currency Momentum Strategies 0 2 2 281 4 29 45 1,552
Currency Momentum Strategies 0 1 1 149 6 11 16 537
Currency Premia and Global Imbalances 0 0 2 110 4 8 18 360
Currency Risk Premia Redux 0 0 0 6 3 6 9 29
Currency Value 0 0 0 111 3 3 10 185
Currency risk premiums redux? 0 1 1 8 5 11 17 33
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 0 98 3 11 12 266
European Capital Flows and Regional Risk 0 0 0 0 3 4 4 386
Exchange Rate Forecasting, Order Flow and Macroeconomic Information 0 0 1 175 6 15 22 542
Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability 0 0 0 261 1 7 8 628
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 0 174 5 15 19 411
Exchange Rates and Sovereign Risk 0 0 1 16 7 11 18 64
Exchange rate forecasting, order flow and macroeconomic information 0 0 1 299 2 7 11 650
Federal Funds Rate Prediction 0 0 0 207 4 5 8 1,936
Federal Funds Rate Prediction 0 0 0 482 2 11 13 6,442
Federal funds rate prediction 0 0 0 329 4 8 13 1,557
Foreign Exchange Intervention: A New Database 0 0 2 41 4 9 14 149
Foreign Exchange Risk and the Predictability of Carry Trade Returns 0 0 1 151 2 8 12 353
Foreign Exchange Volume 0 0 1 13 4 4 8 57
Foreign currency lending 0 0 0 44 2 5 8 278
Foreign exchange intervention: A new database 0 0 0 5 1 2 3 18
Foreign exchange intervention: A new database 0 1 1 58 5 10 15 93
Hot Money, Accounting Labels and the Persistence of Capital Flows to Developing Countries: An Empirical Investigation 0 0 0 0 4 6 6 597
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 0 0 635 4 6 12 1,533
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 0 0 0 8 18 19 20
How well do monetary fundamentals forecast exchange rates? 0 1 3 823 2 4 9 2,519
Information flows in foreign exchange markets: dissecting customer currency trades 0 0 1 136 1 7 10 493
Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers 0 0 0 365 4 11 12 531
Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes 0 0 0 1 6 12 14 413
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 213 2 5 6 604
Monetary Policy Rules, Asset Prices and Exchange Rates 0 0 0 238 11 13 17 660
Monetary policy and learning in an open economy 0 0 0 19 1 3 7 144
Monetary policy and learning in an open economy 0 0 0 148 3 4 5 444
New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market 0 0 0 174 1 4 7 390
Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study 0 0 0 289 2 4 7 926
Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 0 0 0 133 3 4 4 414
Non-Standard Errors 0 0 0 27 2 8 24 163
Non-Standard Errors 0 0 2 44 8 20 40 466
Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 0 0 0 203 3 9 14 705
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 0 0 82 4 7 9 346
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 348 1 3 5 531
Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles 1 1 3 956 10 14 19 2,047
Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 1 304 2 6 10 699
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 161 15 17 20 481
Nonstandard Errors 0 1 2 4 5 11 24 38
Nonstandard Errors 0 0 0 0 1 9 23 23
Nonstandard Errors 0 0 0 0 1 7 15 15
Nonstandard errors 0 0 1 12 6 12 30 69
Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work? 0 1 4 929 5 13 17 2,366
Properties of Foreign Exchange Risk Premia 0 0 2 152 3 4 9 425
Properties of Foreign Exchange Risk Premiums 1 1 2 83 2 3 8 267
Properties of Foreign Exchange Risk Premiums 0 0 0 74 3 12 13 179
Purchasing Power Parity and the Real Exchange Rate 0 0 1 1,198 3 13 21 3,816
Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion 0 0 0 0 4 8 9 859
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behaviour in the UK 0 0 0 0 4 6 8 705
Risks and Risk Premia in the US Treasury Market 2 2 2 2 3 5 8 9
Risky Bank Guarantees 0 0 0 14 1 1 2 69
Risky bank guarantees 0 0 0 22 4 5 8 57
Saving-Investment Correlations: Transitory versus Permanent 0 0 0 0 1 4 4 486
Spot and Forward Volatility in Foreign Exchange 1 2 4 580 5 12 22 1,872
The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period 0 0 1 389 34 39 41 1,375
The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation 0 0 0 564 8 10 10 3,182
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 1 1 126 2 8 13 439
The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value 0 0 0 108 4 6 9 467
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 522 3 9 13 1,324
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 298 1 9 16 814
The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence 0 1 1 220 1 3 4 607
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 1 114 8 11 15 233
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 43 4 10 13 183
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 0 246 14 18 27 645
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 58 3 6 9 267
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 63 12 14 16 237
The Term Structure Of Euromarket Interest Rates: Some New Evidence 0 0 0 194 2 4 7 302
The cost of foreign-currency lending 0 0 0 0 3 6 7 23
The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation 0 0 0 527 1 6 13 2,144
The efficient market hypothesis and identification in structural VARs 0 0 0 253 4 8 11 895
The empirical failure of the expectations hypothesis of the term structure of bond yields 0 0 0 383 2 4 7 822
The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value 0 0 0 222 0 2 3 752
The scapegoat theory of exchange rates: the first tests 0 0 0 89 3 3 4 436
The scapegoat theory of exchange rates: the first tests 0 0 0 34 2 4 9 168
Volatility Risk Premia and Exchange Rate Predictability 0 0 1 65 4 9 18 197
What Do Stock Markets Tell Us About Exchange Rates? 0 0 0 43 7 7 8 128
What Drives International Portfolio Flows? 0 0 0 102 1 5 13 281
What do stock markets tell us about exchange rates? 0 0 3 90 5 9 18 184
What's unique about the federal funds rate? evidence from a spectral perspective 0 0 0 114 3 3 5 583
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 1 1 2 134 10 14 18 282
When is foreign exchange intervention effective? Evidence from 33 countries 1 1 3 101 11 23 32 209
Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective 0 0 0 89 2 8 10 279
Total Working Papers 7 22 77 20,065 504 979 1,471 71,855
3 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A century of equity premium predictability and the consumption-wealth ratio: An international perspective 0 1 1 93 3 7 11 323
A cross-country financial accelerator: Evidence from North America and Europe 0 0 0 96 5 9 11 266
Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991 0 0 1 88 4 7 8 318
An Economic Evaluation of Empirical Exchange Rate Models 0 0 1 128 2 3 7 308
An empirical investigation of asset price bubbles in Latin American emerging financial markets 0 0 0 186 4 6 7 529
Arbitrage in the foreign exchange market: Turning on the microscope 2 6 21 402 16 41 83 1,488
Asset prices, exchange rates and the current account 0 0 0 119 11 12 18 406
Business cycles and currency returns 0 0 2 43 5 7 18 159
CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY 0 0 0 32 4 6 7 164
Capital Flows to Developing Countries: Long- and Short-Term Determinants 0 0 0 4 5 7 14 1,433
Carry Trades and Global Foreign Exchange Volatility 0 0 4 212 6 9 28 655
Comparing the accuracy of density forecasts from competing models 0 0 0 87 1 5 7 277
Composantes permanente et transitoire de l'épargne et de l'investissement: une étude empirique des flux internationaux de capitaux au Japon 0 0 0 4 0 2 4 62
Currency Premia and Global Imbalances 0 0 4 101 9 14 22 413
Currency Risk Premiums Redux 0 2 3 5 1 10 19 26
Currency Value 1 2 5 82 8 12 22 275
Currency momentum strategies 0 3 14 419 8 29 68 1,393
Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? 0 0 1 190 2 6 14 473
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 0 123 4 9 11 606
Empirical exchange rate models and currency risk: some evidence from density forecasts 0 0 0 128 5 12 16 301
Estimating the Mean‐reverting Component in Stock Prices: A Cross‐country comparison 0 0 0 1 2 2 2 6
European Capital Flows and Regional Risk 0 0 1 81 4 8 10 326
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 1 211 5 7 14 558
Exchange Rates and Sovereign Risk 0 1 4 9 6 10 24 43
Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation 0 0 1 33 2 3 6 184
Exchange rate and interest rate volatility in the European Monetary System: some further results 0 0 0 49 0 1 6 173
Exchange rate forecasting, order flow and macroeconomic information 1 1 7 317 6 14 28 927
Exchange rates and fundamentals: evidence on the economic value of predictability 0 0 0 237 7 18 32 656
Federal Funds Rate Prediction 0 0 0 0 2 2 7 846
Foreign Exchange Intervention: A New Database 0 1 4 12 6 10 23 53
Foreign Exchange Volume 1 1 1 11 5 16 33 70
Foreign exchange risk and the predictability of carry trade returns 0 0 1 52 5 10 14 201
Global liquidity risk in the foreign exchange market 0 0 2 83 4 6 9 405
Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation 0 0 1 335 1 2 8 1,024
How the Subprime Crisis went global: Evidence from bank credit default swap spreads 0 1 2 147 11 15 20 533
How well do monetary fundamentals forecast exchange rates? 0 0 1 710 1 5 10 1,956
Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades 0 0 0 16 3 5 8 144
International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum 0 0 0 289 2 9 11 1,097
Mean reversion in stock index futures markets: A nonlinear analysis 0 0 1 6 3 8 12 47
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 0 0 1 3 8 8 16
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 0 0 232 3 6 6 724
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 158 3 7 9 554
Monetary Policy Rules, Asset Prices, and Exchange Rates 1 1 3 48 3 4 12 176
Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests 0 0 0 518 1 4 5 1,135
New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market 0 0 0 0 1 8 10 20
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 0 0 1 0 0 1 7
Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997 0 0 0 1 5 7 8 296
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 25 2 4 8 152
Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles 0 0 0 2 3 7 13 817
Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study 0 1 1 250 13 19 21 721
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 76 2 8 8 270
Nonstandard Errors 0 1 13 42 5 13 63 161
Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? 0 3 10 1,076 4 15 60 2,733
Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity 0 0 0 142 2 3 4 501
Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis 0 0 0 177 3 6 6 801
Properties of foreign exchange risk premiums 0 0 0 92 1 1 5 301
Purchasing Power Parity and the Real Exchange Rate 0 1 7 1,993 4 21 42 4,777
Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis 0 0 0 290 6 7 11 776
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K 0 0 1 112 3 6 10 283
Real exchange rate behavior in the Middle East: a re-examination 0 0 0 62 5 6 9 261
Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 0 1 1 150 1 2 4 398
Real exchange rates under the recent float: unequivocal evidence of mean reversion 0 0 0 120 2 8 11 369
Risks and risk premia in the US Treasury market 0 0 0 5 15 17 25 36
Risky bank guarantees 0 0 0 19 8 13 17 90
Savings-Investment Correlations: Transitory versus Permanent 0 0 0 0 1 3 4 404
Short‐ and long‐run price level uncertainty under different monetary policy regimes: an international comparison 1 1 2 4 4 4 6 15
Special issue on advances in international money, macro and finance 0 0 0 44 0 5 7 144
Speculative Bubbles in U.K. House Prices: Some New Evidence 0 0 0 4 5 6 13 23
Spot and forward volatility in foreign exchange 1 1 4 146 6 11 20 535
Stochastic growth: Empirical evidence from the G7 countries 0 0 1 11 2 5 10 150
Systematic sampling and real exchange rates 0 0 0 24 4 6 8 96
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 0 0 66 5 32 36 303
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 1 1 2 5 22
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 58 7 11 14 207
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 1 116 4 4 8 385
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 0 160 9 10 14 536
The behavior of US public debt: a nonlinear perspective 0 0 0 127 3 8 8 374
The behavior of real exchange rates during the post-Bretton Woods period 0 1 4 416 3 13 25 1,146
The cost of carry model and regime shifts in stock index futures markets: An empirical investigation 0 0 1 13 2 3 7 60
The cost of foreign-currency lending 0 1 1 9 3 8 16 55
The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation 0 0 0 284 3 6 8 1,127
The economic value of predicting bond risk premia 0 0 1 38 2 6 13 132
The efficient market hypothesis and identification in structural VARs 0 0 1 163 3 4 15 905
The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value 0 1 1 202 3 10 14 711
The market for lemmings: The herding behavior of pension funds 0 1 2 34 4 6 8 141
The out-of-sample success of term structure models as exchange rate predictors: a step beyond 0 0 1 336 0 4 11 935
The scapegoat theory of exchange rates: the first tests 0 0 2 90 3 4 10 344
The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence 0 0 0 8 1 3 5 32
The trade imbalance network and currency returns 0 3 6 6 4 19 37 37
Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers 0 0 0 9 6 8 12 43
Timing exchange rates using order flow: The case of the Loonie 0 0 0 36 4 7 11 159
Toward a new paradigm in open economy modeling: where do we stand? 0 1 1 27 1 7 10 101
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 0 0 0 5 5 9 14 36
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 0 0 1 388 5 10 21 802
Volatility risk premia and exchange rate predictability 2 2 5 123 6 9 27 422
What Do Stock Markets Tell Us about Exchange Rates? 0 0 2 33 12 13 20 149
What drives international portfolio flows? 0 1 3 70 6 13 21 223
What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective* 0 0 0 30 2 4 5 179
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 0 6 129 5 9 22 533
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 0 3 8 6 15 19 34
Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective 0 0 0 60 3 5 10 179
Total Journal Articles 10 40 169 14,011 419 866 1,562 47,178
1 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
The Economics of Exchange Rates 0 0 0 0 7 18 46 792
Total Books 0 0 0 0 7 18 46 792

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003 0 0 0 0 1 2 4 4
Total Chapters 0 0 0 0 1 2 4 4

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Statistics updated 2026-02-12